Showing 1 - 10 of 17
Markov Chain Monte Carlo is repeatedly used to analyze the properties of intractable distributions in a convenient way. In this paper we derive conditions for geometric ergodicity of a general class of nonparametric stochastic volatility models with skewness driven by the hidden Markov Chain...
Persistent link: https://www.econbiz.de/10011039898
The article presents measures of convergence that can be implied from the prices of instruments quoted on the financial market. Investors pricing off-balance instruments on the derivatives market reveal their sentiment and level of confidence related to the stability and development of the local...
Persistent link: https://www.econbiz.de/10011271587
Why were some banks heavily affected by mortgage crises, while others barely? Why were some banking sectors dominated by “originate and distribute” model, while others were trading? Why did some banks decide not to follow the others, and preferred to stay traditional banks? How the models...
Persistent link: https://www.econbiz.de/10011109731
The most recent crisis prompted regulatory authorities to implement directives prescribing actions to resolve systemic banking crises. Recent findings show that government intervention results in only a small proportion of bank recoveries. This study examines the reasons for this failure and...
Persistent link: https://www.econbiz.de/10011109877
We examine the international transmission of liquidity shocks from multinational bank holding companies to their subsidiaries during the financial crisis of 2008. Our results demonstrate that a subsidiary's reduction in lending is strongly related to its parent bank's lending via the interbank...
Persistent link: https://www.econbiz.de/10011116613
Persistent link: https://www.econbiz.de/10010839131
Systemic banking crises have placed enormous pressure on national governments to intervene. The empirical literature, however, is inconclusive on what an optimal bailout program should look like to mitigate the negative consequences of government interventions in the banking sector. We find...
Persistent link: https://www.econbiz.de/10010907114
This paper provides an overview of conceptual issues and recent research findings concerning the structure and the role of financial systems and an introduction into the new research area of comparative financial systems. The authors start by pointing out the importance of financial systems in...
Persistent link: https://www.econbiz.de/10010982196
On 5-6 September 2012 SUERF held its 30th Colloquium “States, Banks, and the Financing of the Economy” at the University of Zürich, Switzerland. The papers included in this SUERF Study are based on contributions to the Colloquium. All the chapters in this publication discuss from different...
Persistent link: https://www.econbiz.de/10011070908
In the last fifteen years foreign banks have expanded their presence significantly in almost all developing economies. The transition countries are among those economies that have experienced one of the highest levels of banking internationalization in the world. The foreign controlled banking...
Persistent link: https://www.econbiz.de/10009641439